spcov
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Software:24202
swMATH12271CRANspcovMaRDI QIDQ24202FDOQ24202
Sparse Estimation of a Covariance Matrix
Last update: 23 September 2022
Copyright license: GNU General Public License, version 2.0
Software version identifier: 1.3
Source code repository: https://github.com/cran/spcov
Cited In (58)
- Regularized covariance matrix estimation under the common principal components model
- LARGE SYSTEM OF SEEMINGLY UNRELATED REGRESSIONS: A PENALIZED QUASI-MAXIMUM LIKELIHOOD ESTIMATION PERSPECTIVE
- An Approach to Incorporate Subsampling Into a Generic Bayesian Hierarchical Model
- Cholesky-based model averaging for covariance matrix estimation
- An improved banded estimation for large covariance matrix
- An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes
- MM Algorithms for Variance Components Models
- Scaling it up: stochastic search structure learning in graphical models
- Sparse estimation of high-dimensional correlation matrices
- Bayesian sparse covariance decomposition with a graphical structure
- Estimating large correlation matrices for international migration
- Efficient estimation of approximate factor models via penalized maximum likelihood
- The finite sample properties of sparse M-estimators with pseudo-observations
- DC programming and DCA: thirty years of developments
- Coordinate descent algorithm for covariance graphical Lasso
- An efficient numerical method for condition number constrained covariance matrix approximation
- Detection of hubs in complex networks by the Laplacian matrix
- Covariance estimation via sparse Kronecker structures
- Testing independence with high-dimensional correlated samples
- Detecting the large entries of a sparse covariance matrix in sub-quadratic time
- High-dimensional sufficient dimension reduction through principal projections
- A faster generalized ADMM-based algorithm using a sequential updating scheme with relaxed step sizes for multiple-block linearly constrained separable convex programming
- A one-sample test for normality with kernel methods
- MIP-BOOST: Efficient and Effective L0 Feature Selection for Linear Regression
- Exploring dimension learning via a penalized probabilistic principal component analysis
- A generative approach to modeling data with quantitative and qualitative responses
- A partial PPA block-wise ADMM for multi-block linearly constrained separable convex optimization
- Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix
- Nonstationary Modeling With Sparsity for Spatial Data via the Basis Graphical Lasso
- Sampling, Metamodeling, and Sensitivity Analysis of Numerical Simulators with Functional Stochastic Inputs
- A fused Lasso approach to nonstationary spatial covariance estimation
- Recent developments in high dimensional covariance estimation and its related issues, a review
- A SAEM algorithm for fused Lasso penalized nonlinear mixed effect models: application to group comparison in pharmacokinetics
- Perturbations and projections of Kalman-Bucy semigroups
- Forecasting mortality rate improvements with a high-dimensional VAR
- Estimation of high-dimensional seemingly unrelated regression models
- An Efficient Surrogate Model for Emulation and Physics Extraction of Large Eddy Simulations
- Estimation of multivariate dependence structures via constrained maximum likelihood
- Differentially private precision matrix estimation
- Graph-Guided Banding of the Covariance Matrix
- Non-asymptotic error controlled sparse high dimensional precision matrix estimation
- On the existence of the weighted bridge penalized Gaussian likelihood precision matrix estimator
- Group-wise shrinkage estimation in penalized model-based clustering
- Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
- The spectral condition number plot for regularization parameter evaluation
- Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage
- Model-based clustering with sparse covariance matrices
- A dual active-set proximal Newton algorithm for sparse approximation of correlation matrices
- Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator
- Testing regression coefficients in high-dimensional and sparse settings
- Simultaneous monitoring of process mean vector and covariance matrix via penalized likelihood estimation
- Double shrinkage estimators for large sparse covariance matrices
- The beta-mixture shrinkage prior for sparse covariances with near-minimax posterior convergence rate
- A Cholesky-based estimation for large-dimensional covariance matrices
- On the penalized maximum likelihood estimation of high-dimensional approximate factor model
- A partially proximal S-ADMM for separable convex optimization with linear constraints
- Sparse Covariance Matrix Estimation by DCA-Based Algorithms
- Uncertainty quantification for functional dependent random variables
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